The CDS‐Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
研究了CDS-债券基差套利如何引入融资流动性和对手方风险，并发现基差因子在投资级债券截面中年化风险溢价约3%，帮助投资者理解债券定价中的新风险。
We provide a comprehensive empirical analysis on the implication of CDS‐Bond basis arbitrage for the pricing of corporate bonds. Basis arbitrageurs introduce new risks such as funding liquidity and counterparty risk into the corporate bond market, which was dominated by passive investors before the existence of credit default swap (CDS). We show that a basis factor, constructed as the return differential between LOW and HIGH quintile basis portfolios, is a superior empirical proxy that captures the new risks. In the cross section of investment grade bond returns, the basis factor carries an annual risk premium of about 3% in normal periods. © 2017 Wiley Periodicals, Inc. Jrl Fut Mark 37:836–861, 2017